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The Granger Centre for Time Series Econometrics

The Granger Centre for Time Series Econometrics

 

 

 

Recent publications

2025

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School's author: Markus Eberhardt

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School's authors: Spiros Bougheas and David Harvey

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School's authors: David Harvey and Steve Leybourne

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School's author: John Gathergood

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School's authors: David Harvey, Steve Leybourne, Benjamin Tatlow and Yang Zu

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School's author: Zhenjiang Lin (UNNC)

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School's author: John Gathergood

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School's authors: David Harvey and Steve Leybourne

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School's author: John Gathergood

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School's author: John Gathergood

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2024
'' School's author: Kevin Lee
'' School's author: Markus Eberhardt
'' School's author: John Gathergood
'' School's authors: David Harvey, Steve Leybourne and Yang Zu
'' School's authors: Chew Lian Chua (UNNC)
'' School's author: Markus Eberhardt
'' School's author: John Gathergood
'' School's authors: David Harvey, Steve Leybourne and Yang Zu
'' School's authors: Spiros Bougheas and David Harvey
'' School's authors: David Harvey, Steve Leybourne and Yang Zu

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2023

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School's authors: David Harvey and Steve Leybourne

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School's author: Kevin Lee

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School's author: Markus Eberhardt

''

School's author: John Gathergood

''

School's author: Zhenjiang Lin (UNNC)

''

School's authors: David Harvey and Steve Leybourne

''

School's author: John Gathergood

''

School's authors: David Harvey and Steve Leybourne

''

School's author: John Gathergood

''

School's author: John Gathergood

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2022

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School's author: Kevin Lee

''

School's author: John Gathergood

''

School's authors: David Harvey and Steve Leybourne

''

School's author: Markus Eberhardt

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School's author: John Gathergood

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School's authors: David Harvey, Steve Leybourne and Yang Zu

2021

GC 21/02: Forecasting in factor augmented regressions under structural change

Description
Daniele Massacci and George Kapetaniosy

GC 21/01: Systematic comovement in threshold group-factor models

Description
Daniele Massacci, Dario Ruzzi and Mirco Rubin

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2020

GC 20/01: Determining the rank of cointegration with infinite variance

Description
Matteo Barigozzi, Giuseppe Cavaliere and Lorenzo Trapani

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2019

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2018

GC 18/05: Testing explosive bubbles with time-varying volatility

Description
David Harvey, Stephen Leybourne and Yang Zu

GC 18/04: Sequential testing for structural stability in approximate factor models

Description
Matteo Barigozzi and Lorenzo Trapani propose a procedure to check whether, in real time, there are changes in the covariance structure of a large vector, which could eg represent a portfolio of assets.

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2017

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2016

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2015

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2014

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2013

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2012

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2011

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2010

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2009

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2008

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2007

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2006

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The Granger Centre for Time Series Econometrics

School of Economics
ÀÖ²¥´«Ã½
University Park
ÀÖ²¥´«Ã½, NG7 2RD


lorenzo.trapani@nottingham.ac.uk